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Abstract Details

Activity Number: 464
Type: Contributed
Date/Time: Wednesday, August 1, 2012 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistical Computing
Abstract - #305957
Title: Implementing NPSOL in R
Author(s): Brad Price*+ and Charles Geyer
Companies: University of Minnesota and University of Minnesota
Address: 1320 Coach Road, St. Paul, MN, 55105, United States
Keywords: R Software ; NPSOL ; Constrained Optimization ; Nonlinear Constraints
Abstract:

NPSOL is a widely used proprietary Fortran subroutine library for constrained optimization with nonlinear constraints. It minimizes a smooth objective function subject to a finite set of linear and nonlinear constraints; the objective function and the nonlinear constraints (if any) are evaluated by a user-written Fortran function. It handles problems with several hundred variables and constraints. We provide an R interface to NPSOL in which the objective function and its derivatives, and the nonlinear constraint functions and their derivatives are evaluated by user-written R functions (derivatives may be omitted, in which case NPSOL uses finite differences). We also allow capture of all the messages NPSOL optionally prints, examination of which is sometimes the only way to see how the algorithm is failing and how to specify optional arguments to NPSOL into a user-specified file.


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